Portfolio Performance Report - 150d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (150d)	BL (150d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	94.0%	98.0%

Cumulative Return	408.02%	320.26%	539.04%	728.48%	370.51%
CAGR﹪	6.69%	5.89%	7.67%	8.79%	6.37%

Sharpe	0.42	0.4	0.48	0.52	0.42
Prob. Sharpe Ratio	98.09%	97.76%	99.14%	99.49%	98.16%
Smart Sharpe	0.39	0.38	0.45	0.49	0.39
Sortino	0.58	0.57	0.67	0.72	0.58
Smart Sortino	0.55	0.53	0.63	0.67	0.55
Sortino/√2	0.41	0.4	0.48	0.51	0.41
Smart Sortino/√2	0.39	0.38	0.45	0.48	0.39
Omega	1.08	1.08	1.09	1.1	1.08

Max Drawdown	-59.82%	-53.78%	-55.19%	-55.02%	-59.08%
Max DD Date	2008-11-20	2009-03-09	2009-03-09	2012-06-04	2008-11-20
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2010-11-05	2007-11-01
Max DD Period End	2011-04-26	2013-03-04	2012-08-15	2021-08-31	2010-11-03
Longest DD Days	1453	2450	2404	3953	1374
Volatility (ann.)	20.79%	18.55%	19.53%	20.27%	19.1%
Calmar	0.11	0.11	0.14	0.16	0.11
Skew	-0.28	-0.11	-0.01	-0.47	-0.27
Kurtosis	12.33	12.25	11.16	9.9	14.86

Expected Daily	0.03%	0.02%	0.03%	0.03%	0.02%
Expected Monthly	0.54%	0.48%	0.62%	0.7%	0.51%
Expected Yearly	6.45%	5.68%	7.39%	8.47%	6.14%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-2.06%	-1.95%
Expected Shortfall (cVaR)	-3.74%	-3.74%	-3.74%	-3.74%	-3.74%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.1	1.08
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.93	0.96	0.92	0.97	0.93
Outlier Win Ratio	3.83	4.35	4.17	4.22	4.42
Outlier Loss Ratio	3.82	4.37	4.03	3.69	4.18

MTD	2.59%	2.57%	5.17%	5.15%	2.55%
3M	7.06%	10.94%	12.06%	10.68%	6.53%
6M	9.24%	14.12%	16.79%	11.27%	7.33%
YTD	0.74%	3.83%	6.85%	7.35%	0.78%
1Y	11.09%	18.42%	29.36%	16.94%	8.52%
3Y (ann.)	3.56%	6.31%	10.76%	23.74%	2.09%
5Y (ann.)	5.78%	9.1%	14.72%	19.79%	4.89%
10Y (ann.)	3.72%	9.29%	12.72%	10.11%	3.23%
All-time (ann.)	6.69%	5.89%	7.67%	8.79%	6.37%

Best Day	14.86%	11.37%	14.52%	13.39%	13.82%
Worst Day	-12.09%	-12.93%	-10.94%	-11.96%	-11.15%
Best Month	16.17%	13.95%	12.7%	26.15%	17.67%
Worst Month	-25.09%	-14.06%	-16.52%	-21.77%	-22.81%
Best Year	56.84%	26.5%	32.31%	65.31%	59.26%
Worst Year	-44.11%	-33.84%	-36.79%	-40.28%	-42.12%

Avg. Drawdown	-3.4%	-2.3%	-2.04%	-3.42%	-2.85%
Avg. Drawdown Days	55	46	32	62	52
Recovery Factor	-	-	-	-	-
Ulcer Index	0.16	0.14	0.17	0.27	0.15
Serenity Index	0.59	0.58	0.56	0.26	0.56

Avg. Up Month	4.78%	3.6%	3.86%	4.99%	4.25%
Avg. Down Month	-5.84%	-4.5%	-4.62%	-5.01%	-5.32%
Win Days	53.4%	53.12%	54.29%	54.14%	53.57%
Win Month	55.96%	60.93%	62.91%	60.42%	59.86%
Win Quarter	62.38%	65.35%	70.3%	60.2%	63.64%
Win Year	65.38%	69.23%	76.92%	61.54%	65.38%

EOY Returns

Year	EQW	^DJI	SPY	MV (150d)	BL (150d)
1999	23.68	22.39	19.28	19.45	6.91
2000	-13.41	-4.22	-7.41	2.35	-13.31
2001	-8.20	-5.12	-10.11	-9.90	-7.24
2002	-9.89	-15.11	-20.83	-20.44	-5.92
2003	41.59	23.95	26.20	44.86	47.39
2004	26.02	3.69	10.78	32.80	25.23
2005	16.82	-0.08	5.25	16.89	13.54
2006	29.10	15.58	15.21	31.18	29.72
2007	19.97	7.29	6.28	26.92	21.42
2008	-47.06	-34.13	-37.36	-39.98	-44.13
2009	50.14	20.17	26.93	52.36	46.31
2010	20.58	11.76	15.63	29.15	20.81
2011	-16.31	7.59	4.53	-46.63	-14.35
2012	22.81	7.69	15.64	-3.46	17.27
2013	9.37	24.03	28.62	10.64	14.12
2014	-4.15	7.84	13.27	-8.87	-2.71
2015	-10.85	-1.07	2.41	-6.17	-7.99
2016	9.23	13.38	12.18	13.21	5.51
2017	24.15	22.61	19.88	24.72	23.39
2018	-12.80	-4.20	-3.23	-4.26	-13.59
2019	17.45	20.94	27.97	10.00	15.80
2020	11.12	13.82	22.47	14.26	10.19
2021	8.83	17.94	26.11	23.16	11.00
2022	-6.52	-7.24	-17.13	43.51	-10.72
2023	14.43	13.49	24.11	0.28	11.29
2024	0.83	3.81	6.73	7.19	0.85

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-26	-59.82	1273
2000-01-04	2003-12-26	-41.42	1453
2018-01-29	2020-12-16	-41.02	1053
2014-07-07	2017-07-25	-31.03	1115
2011-05-02	2013-01-18	-27.33	628
2022-01-13	2023-07-25	-23.27	559
2006-05-10	2006-10-25	-18.31	169
2007-07-16	2007-09-28	-14.38	75
2013-05-09	2013-09-17	-13.41	132
2004-02-18	2004-09-20	-13.21	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (150d)

Started	Recovered	Drawdown	Days
2010-11-05	2021-08-31	-55.02	3953
2007-11-07	2010-07-22	-47.61	989
2000-03-06	2004-01-02	-37.99	1398
2023-01-04	2024-02-14	-19.45	407
2022-04-08	2022-11-03	-17.09	210
2007-07-16	2007-09-26	-16.82	73
2006-05-11	2006-09-26	-15.38	139
2004-04-13	2004-07-01	-12.84	80
2007-02-26	2007-04-02	-12.56	36
2005-03-08	2005-07-29	-11.98	144

BL (150d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-11-03	-59.08	1099
2018-01-29	2021-01-04	-39.38	1072
2000-01-04	2003-10-08	-35.94	1374
2011-05-02	2013-05-07	-27.33	737
2014-07-07	2017-07-12	-26.97	1102
2022-01-13	2024-02-23	-21.96	772
2006-05-10	2006-10-13	-15.20	157
2004-02-18	2004-09-30	-14.13	226
2007-07-13	2007-09-26	-14.05	76
2013-05-09	2013-09-17	-11.60	132